Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.4636 |
| Annualized Std Dev | 0.6299 |
| Annualized Sharpe (Rf=0%) | 0.7360 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 3083.0000 |
| NAs | 1.0000 |
| Minimum | -0.3616 |
| Quartile 1 | -0.0141 |
| Median | 0.0034 |
| Arithmetic Mean | 0.0023 |
| Geometric Mean | 0.0015 |
| Quartile 3 | 0.0206 |
| Maximum | 0.3551 |
| SE Mean | 0.0007 |
| LCL Mean (0.95) | 0.0009 |
| UCL Mean (0.95) | 0.0037 |
| Variance | 0.0016 |
| Stdev | 0.0397 |
| Skewness | -0.1977 |
| Kurtosis | 9.0644 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0289 |
| Gain Deviation | 0.0276 |
| Loss Deviation | 0.0315 |
| Downside Deviation (MAR=210%) | 0.0318 |
| Downside Deviation (Rf=0%) | 0.0278 |
| Downside Deviation (0%) | 0.0278 |
| Maximum Drawdown | 0.7510 |
| Historical VaR (95%) | -0.0624 |
| Historical ES (95%) | -0.0958 |
| Modified VaR (95%) | -0.0579 |
| Modified ES (95%) | -0.0972 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2020-02-20 | 2020-03-23 | 2020-08-24 | -0.7510 | 130 | 23 | 107 |
| 2018-10-04 | 2018-12-24 | 2019-07-11 | -0.5971 | 192 | 56 | 136 |
| 2011-02-09 | 2011-08-19 | 2012-02-28 | -0.5310 | 265 | 134 | 131 |
| 2009-01-07 | 2009-03-09 | 2009-04-09 | -0.5186 | 65 | 42 | 23 |
| 2010-04-26 | 2010-08-31 | 2010-12-21 | -0.4693 | 168 | 90 | 78 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2008 | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | NA | 3.5 | 3.5 |
| 2009 | -8.4 | -0.9 | 7.7 | 1.9 | 10.2 | 1.5 | -0.3 | -6.1 | -8.5 | -7.7 | 4.3 | -3 | -10.8 |
| 2010 | 4.4 | 4 | -0.4 | -6.6 | -3.5 | -1.3 | -1.4 | 7.8 | -0.3 | 1 | 6.5 | -0.3 | 9.4 |
| 2011 | 5.1 | -5.5 | -0.8 | 0.3 | -6.4 | 4.9 | -0.5 | -3.2 | -8.2 | -8 | 1.6 | -1 | -20.4 |
| 2012 | 3.1 | 1.8 | -0.8 | 0.8 | -8.4 | 8.5 | -1 | 2 | -0.6 | 4.8 | -0.4 | 6.1 | 16 |
| 2013 | 3.6 | 0.4 | -2.2 | -2.2 | -2.7 | 1.8 | 3.1 | -1.4 | 2.5 | 0.2 | 1.4 | 1.8 | 6.5 |
| 2014 | 0.6 | -0.5 | 3.5 | 0.4 | 0.3 | 3 | -1.6 | 1.3 | -4.7 | 4.7 | -3.2 | -3.6 | -0.2 |
| 2015 | -3.4 | -1.3 | -1 | 3.5 | 0.6 | 2 | -0.9 | -9.5 | 0.2 | -1.8 | 2.7 | -4.1 | -12.9 |
| 2016 | 1.2 | 8.4 | 2.1 | -2.4 | -0.8 | 0.7 | 0.7 | 0.7 | 1.3 | -2.6 | -6.2 | -2.6 | -0.1 |
| 2017 | 1.9 | 4.1 | -0.5 | 2.2 | 0.7 | -0.2 | 1.2 | -0.1 | 1.9 | -0.1 | -1.4 | -1.7 | 8.1 |
| 2018 | 0.1 | -4.9 | 5.7 | 3.8 | 5.3 | -0.4 | 2.5 | 0.2 | 1.5 | 3.7 | 2.9 | 2.8 | 25.3 |
| 2019 | 1.9 | 1.9 | 4.1 | -0.8 | -4.9 | 4.5 | -1.4 | -0.2 | -2.7 | 3.5 | -1 | 0.7 | 5.3 |
| 2020 | -8.3 | 2.7 | -14.3 | -8.5 | 0.1 | 0.3 | 7.8 | 6 | 3.2 | -6.6 | 4 | 0.8 | -14.4 |
| 2021 | 7.5 | 9.1 | -1.2 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 15.9 |
Row
Price Chart
# tidytable [6 × 21]
datadate Close tic.x spy ret.x ret_1W.x ret_1M.x ret_3M.x ret_1Y.x ret_3Y.x ret_5Y.x tic.y gld ret.y ret_1W.y
<date> <dbl> <chr> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <dbl> <chr> <dbl> <dbl> <dbl>
1 2008-12-17 0.363 SPY 91.0 -0.0097 0.0098 0.0646 -0.242 -0.376 -0.286 -0.159 GLD 85.4 0.0115 0.0712
2 2008-12-18 0.330 SPY 89.3 -0.0187 0.0154 0.0254 -0.281 -0.388 -0.293 -0.177 GLD 83.9 -0.0183 0.0399
3 2008-12-19 0.342 SPY 88.2 -0.0043 -0.0009 0.0909 -0.267 -0.394 -0.293 -0.190 GLD 82.6 -0.0148 0.0225
4 2008-12-22 0.308 SPY 87.1 -0.0128 -0.0079 0.154 -0.266 -0.412 -0.308 -0.201 GLD 83.5 0.01 0.0104
5 2008-12-23 0.312 SPY 86.2 -0.0103 -0.0623 0.0835 -0.276 -0.423 -0.316 -0.214 GLD 82.6 -0.0099 -0.0217
6 2008-12-24 0.312 SPY 86.7 0.00580 -0.0476 0.0192 -0.283 -0.420 -0.316 -0.210 GLD 83.5 0.01 -0.0231
# … with 6 more variables: ret_1M.y <dbl>, ret_3M.y <dbl>, ret_1Y.y <dbl>, ret_3Y.y <dbl>, ret_5Y.y <dbl>, rel <dbl>Row
Rolling Performance Chart
Row
Snail Trail Chart
